Dunno about anime, but there are some good horror manga. Try Bio-Meat and Highschool of the Dead.
The first is about a series of outbreaks of trash-disposal creatures, which act essentially as a cross between a zombie invasion and a plague of locusts. It has iffy art, but it's pretty good. You can get it from scan group Snoopy Cool. (Actually, everything Snoopy Cool scans is pretty good.)
Highschool of the Dead, as you can probably guess from its (laughable) title, is about highschoolers and a zombie invasion. The two main things which set it apart are that it's one of the few zombie stories that gets beyond the initial outbreak into the characters living in a zombie filled world, and that it's drawn by the hentai artist DAW, so the art is positively faptastic (image related). You can get it from scan group Xamayon, assuming their site is up this month.
A third recommendation, though it's less straight horror than the other two listed, would be King of Thorns, which follows a group of characters who wake up after being cryogenically frozen to discover that the hospital is now full of dinosaurs and monsters and shit. It can be gotten from the scanlation group Strays.
There's also a bunch of stuff in the "Halloween harem" genre, but that hardly counts as horror, now does it?